Properties of stochastic arrangement increasing and their applications in allocation problems

Wei Wei

doi:10.3390/risks6020049

Properties of stochastic arrangement increasing and their applications in allocation problems

Research output: Contribution to journal › Article › peer-review

Abstract

There are extensive studies on the allocation problems in the field of insurance and finance. We observe that these studies, although involving different methodologies, share some inherent commonalities. In this paper, we develop a new framework for these studies with the tool of arrangement increasing functions. This framework unifies many existing studies and provides shortcuts to developing new results.

Original language	English (US)
Article number	49
Journal	Risks
Volume	6
Issue number	2
DOIs	https://doi.org/10.3390/risks6020049
State	Published - Jun 2018
Externally published	Yes

Keywords

Arrangement increasing function
Majorization
Optimal allocations
Stochastic arrangement increasing
Stochastic orders

ASJC Scopus subject areas

Accounting
Economics, Econometrics and Finance (miscellaneous)
Strategy and Management

Online availability

10.3390/risks6020049

Library availability

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title = "Properties of stochastic arrangement increasing and their applications in allocation problems",

abstract = "There are extensive studies on the allocation problems in the field of insurance and finance. We observe that these studies, although involving different methodologies, share some inherent commonalities. In this paper, we develop a new framework for these studies with the tool of arrangement increasing functions. This framework unifies many existing studies and provides shortcuts to developing new results.",

keywords = "Arrangement increasing function, Majorization, Optimal allocations, Stochastic arrangement increasing, Stochastic orders",

author = "Wei Wei",

note = "Funding Information: Acknowledgments: The author is grateful to the two anonymous reviewers for their valuable comments, which greatly improve the presentation of the paper. The author acknowledges the financial support from the Research and Creative Activities Support grant (RACAS, grant number: AAC2253) from the University of Wisconsin-Milwaukee. Publisher Copyright: {\textcopyright} 2018 by the authors. Licensee MDPI, Basel, Switzerland.",

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PY - 2018/6

Y1 - 2018/6

N2 - There are extensive studies on the allocation problems in the field of insurance and finance. We observe that these studies, although involving different methodologies, share some inherent commonalities. In this paper, we develop a new framework for these studies with the tool of arrangement increasing functions. This framework unifies many existing studies and provides shortcuts to developing new results.

AB - There are extensive studies on the allocation problems in the field of insurance and finance. We observe that these studies, although involving different methodologies, share some inherent commonalities. In this paper, we develop a new framework for these studies with the tool of arrangement increasing functions. This framework unifies many existing studies and provides shortcuts to developing new results.

KW - Arrangement increasing function

KW - Majorization

KW - Optimal allocations

KW - Stochastic arrangement increasing

KW - Stochastic orders

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ER -

Properties of stochastic arrangement increasing and their applications in allocation problems

Abstract

Keywords

ASJC Scopus subject areas

Online availability

Library availability

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